Interval (months)
Figure 6.20 The filtered breakout system produced smaller drawdowns than the 65sma-3cc system without initial stop or exits (case 1). Data are for 1-, 3-, 6-, and 12-month intervals.
ard error decreased by 36 percent. A brief comparison of the filtered and unfiltered system is shown in Table 6.1.
The data in Table 6.1 show that filtering reduced the number of trades, and improved profitability and the profit factor in this instance. These calculations suggest that filtering can produce a smoother equity
| Table 6.1 Comparison of DM systems
|
|
| Unfiltered
| DM System
| Filtered DM System
|
| Net profit ($)
|
| 6,863
| 37,125
|
| Total number of trades
|
|
|
|
| Percentage of winners
|
|
|
|
| Ratio: average wins/losses
|
| 1.75
| 1.74
|
| Average trade ($)
|
|
|
|
| Maximum drawdown ($)
|
| -11,338
| -5,688
|
| Profit factor
|
| 1.08
| 1.74
|
204 Equity Curve Analysis
